piker
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Paper-clearing: realistic market engine models
Originally defined in #152 but since #462 got the position and ledger tracking part done, i'm just copying over the alt model requirement to this new task.
More or less we want a more realistic (aka less ideal then current) set of models for the paper engine to leverage for simulating real-time market conditions.
Obviously the fanciest form of this would be some kind of real-time conditions recording system where the model would just record and then (store and) simulate what was recorded for forward tests 🏄🏼
I had a small list of libs that had some apis / types for wrapping this kinda thing:
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zipline's slippage model stuff -
zipline's internal positoin tracking system -
qtpylibjust uses IB's structure verbatim as is wrapped insideib_insync -
we currently are doing about what
qtpylibdoes